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OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

Published online by Cambridge University Press:  15 July 2015

B.L.S. Prakasa Rao
B.L.S. Prakasa Rao*
Affiliation:
C R Rao Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad 500046, India E-mail: [email protected]; [email protected]
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Abstract

We propose a geometric mixed fractional Brownian motion model for the stock price process with possible jumps superimposed by an independent Poisson process. Option price of the European call option is computed for such a model. Some special cases are studied in detail.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 29 , Issue 4 , October 2015 , pp. 589 - 596
Copyright
Copyright © Cambridge University Press 2015 

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